You have to go to the City Gate District to leave the City for the first time. After that you should be able to come and go as you please.

However, you might want to explore the other districts before heading out to the Keep. Nalia will be there whenever you arrive. The trolls she spoke of aren't very difficult - but there are some other monsters that are much tougher.

Travel around the city for awhile. You can pick up some interesting NPC's and experience-building quests. When you have the party you like - then you can clear out De'Arnise Keep.